Barclays to price 95% principal-protected notes linked to three currency baskets via JPMorgan

By Angela McDaniels

Tacoma, Wash., Oct. 13 - Barclays Bank plc plans to price zero-coupon 95% principal-protected notes due Oct. 21, 2011 linked to the performance of three baskets of currencies relative to the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

The first basket includes the Canadian dollar, Mexican peso and Brazilian real. The second basket includes the euro, Swedish krona and Swiss franc. The third basket includes the Japanese yen, Singapore dollar and South Korean won. In each basket, the currencies are equally weighted.

The payout at maturity will be 95% of par plus 50% of the return of the top performing basket, 35% of the return of the middle performing basket and 15% of the return of the lowest performing basket. Investors will receive at least 95% of par.

If a basket appreciates relative to the U.S. dollar, its return will be positive. If a basket depreciates relative to the U.S. dollar, its return will be negative.

The notes are expected to price Oct. 16 and settle Oct. 21.

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